What's the little red icon on stage selection screen?

[E]

At the bottom right of the page when selecting a stage, there's a red icon that changes when you click it. What is this for?

[Osiris]

The one on the left with the check mark is the highest difficulty you've completed the stage/challenge at and the one on the right that is clickable lets you cycle through difficulty levels without going to the options menu. If you want to see what the pictures mean, press Escape and click on the difficulty level; there you will see the same pictures, but much larger and with text to explain them.